Download This PaperAddendum on How Many Times Cointelated Pairs Cross Paths
12 Pages Posted: 2 Apr 2020
Date Written: March 9, 2020
Abstract
We expose an issue on the number of cross formula introduced in the Cointelation model and provide an improvement.
Keywords: Pairs Trading, Cointelation, Cointegration, Correlation, Number of Turning Points, Number of Crosses
Suggested Citation: Suggested Citation
Mahdavi-Damghani, Babak and Roberts, Stephen, Addendum on How Many Times Cointelated Pairs Cross Paths (March 9, 2020). Available at SSRN: https://ssrn.com/abstract=3550931 or http://dx.doi.org/10.2139/ssrn.3550931
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.